First step for GenericDistribution
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ab9c8726d6
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626b4f65c3
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@ -1,62 +1,4 @@
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type timeUnit = [
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| `days
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| `hours
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| `milliseconds
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| `minutes
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| `months
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| `quarters
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| `seconds
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| `weeks
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| `years
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];
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type timeVector = {
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zero: MomentRe.Moment.t,
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unit: timeUnit,
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};
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type timePoint = {
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timeVector,
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value: float,
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};
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module TimePoint = {
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let fromTimeVector = (timeVector, value): timePoint => {timeVector, value};
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let toMoment = (timePoint: timePoint) => {
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timePoint.timeVector.zero
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|> MomentRe.Moment.add(
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~duration=
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MomentRe.duration(timePoint.value, timePoint.timeVector.unit),
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);
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};
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let fromMoment = (timeVector: timeVector, moment: MomentRe.Moment.t) =>
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MomentRe.diff(timeVector.zero, moment, timeVector.unit);
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};
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module RelativeTimePoint = {
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type timeInVector =
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| Time(MomentRe.Moment.t)
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| XValue(float);
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let toTime = (timeVector: timeVector, timeInVector: timeInVector) =>
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switch (timeInVector) {
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| Time(r) => r
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| XValue(r) =>
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timeVector.zero
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|> MomentRe.Moment.add(~duration=MomentRe.duration(r, timeVector.unit))
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};
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let _timeToX = (time, timeStart, timeUnit) =>
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MomentRe.diff(timeStart, time, timeUnit);
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let toXValue = (timeVector: timeVector, timeInVector: timeInVector) =>
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switch (timeInVector) {
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| Time(r) => _timeToX(r, timeVector.zero, timeVector.unit)
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| XValue(r) => r
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};
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};
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open TimeTypes;
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type t = {
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timeVector,
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136
src/lib/DistributionTypes.re
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136
src/lib/DistributionTypes.re
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@ -0,0 +1,136 @@
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type domainLimit = {
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xPoint: float,
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excludingProbabilityMass: float,
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};
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type domain =
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| Complete
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| LeftLimited(domainLimit)
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| RightLimited(domainLimit)
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| LeftAndRightLimited(domainLimit, domainLimit);
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type continuousShape = {
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xs: array(float),
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ys: array(float),
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};
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type discreteShape = {
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xs: array(float),
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ys: array(float),
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};
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type mixedShape = {
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continuous: continuousShape,
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discrete: discreteShape,
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discreteProbabilityMassFraction: float,
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};
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type pointsType =
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| Mixed(mixedShape)
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| Discrete(discreteShape)
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| Continuous(continuousShape);
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type generationSource =
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| GuesstimatorString(string)
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| Shape(pointsType);
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type distributionUnit =
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| Unspecified
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| Time(TimeTypes.timeVector);
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type probabilityType =
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| Cdf
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| Pdf
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| Arbitrary;
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type genericDistribution = {
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generationSource,
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probabilityType,
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domain,
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unit: distributionUnit,
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};
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module Shape = {
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module Continuous = {
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let fromArrays = (xs, ys): continuousShape => {xs, ys};
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};
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module Discrete = {
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let fromArrays = (xs, ys): continuousShape => {xs, ys};
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};
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module Mixed = {
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let make = (~continuous, ~discrete, ~discreteProbabilityMassFraction) => {
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continuous,
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discrete,
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discreteProbabilityMassFraction,
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};
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module Builder = {
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type assumption =
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| ADDS_TO_1
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| ADDS_TO_CORRECT_PROBABILITY;
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type assumptions = {
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continuous: assumption,
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discrete: assumption,
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discreteProbabilityMass: option(float),
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};
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let build = (~continuous, ~discrete, ~assumptions) =>
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switch (assumptions) {
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| {
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continuous: ADDS_TO_CORRECT_PROBABILITY,
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discrete: ADDS_TO_CORRECT_PROBABILITY,
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discreteProbabilityMass: Some(r),
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} =>
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// TODO: Fix this, it's wrong :(
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Some(
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make(~continuous, ~discrete, ~discreteProbabilityMassFraction=r),
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)
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| {
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continuous: ADDS_TO_1,
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discrete: ADDS_TO_1,
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discreteProbabilityMass: Some(r),
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} =>
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Some(
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make(~continuous, ~discrete, ~discreteProbabilityMassFraction=r),
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)
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| {
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continuous: ADDS_TO_1,
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discrete: ADDS_TO_1,
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discreteProbabilityMass: None,
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} =>
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None
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| {
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continuous: ADDS_TO_CORRECT_PROBABILITY,
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discrete: ADDS_TO_1,
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discreteProbabilityMass: None,
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} =>
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None
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| {
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continuous: ADDS_TO_1,
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discrete: ADDS_TO_CORRECT_PROBABILITY,
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discreteProbabilityMass: None,
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} =>
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None
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| _ => None
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};
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};
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};
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};
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module GenericDistribution = {
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let make =
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(
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~generationSource,
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~probabilityType=Pdf,
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~domain=Complete,
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~unit=Unspecified,
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(),
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)
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: genericDistribution => {
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generationSource,
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probabilityType,
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domain,
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unit,
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};
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};
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@ -55,41 +55,41 @@ module Value = {
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| SelectSingle(r) => r |> ReasonReact.string
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| ConditionalArray(r) => "Array" |> ReasonReact.string
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| Conditional(r) => r.name |> ReasonReact.string
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| TimeLimitedDomainCdfLazy(r) =>
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let timeLimited = r(CdfLibrary.Distribution.fromString(_, 1000));
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let cdf = timeLimited.limitedDomainCdf.distribution;
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<>
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<Chart height=100 data={cdf |> Types.ContinuousDistribution.toJs} />
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<Chart
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height=100
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data={
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cdf
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|> CdfLibrary.Distribution.toPdf
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|> Types.ContinuousDistribution.toJs
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}
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/>
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{FloatCdf.logNormal(50., 20.) |> ReasonReact.string}
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</>;
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| TimeLimitedDomainCdfLazy(r) => <div />
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// let timeLimited = r(CdfLibrary.Distribution.fromString(_, 1000));
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// let cdf = timeLimited.limitedDomainCdf.distribution;
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// <>
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// <Chart height=100 data={cdf |> Types.ContinuousDistribution.toJs} />
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// <Chart
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// height=100
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// data={
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// cdf
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// |> CdfLibrary.Distribution.toPdf
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// |> Types.ContinuousDistribution.toJs
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// }
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// />
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// {FloatCdf.logNormal(50., 20.) |> ReasonReact.string}
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// </>;
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| TimeLimitedDomainCdf(r) =>
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let cdf: Types.ContinuousDistribution.t =
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r.limitedDomainCdf.distribution;
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<>
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<Chart height=100 data={cdf |> Types.ContinuousDistribution.toJs} />
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</>;
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| FloatCdf(r) =>
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let cdf: Types.ContinuousDistribution.t =
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CdfLibrary.Distribution.fromString(r, 2000);
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<>
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<Chart
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height=100
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data={
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cdf
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|> CdfLibrary.Distribution.toPdf
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|> Types.ContinuousDistribution.toJs
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}
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/>
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{r |> ReasonReact.string}
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</>;
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| FloatCdf(r) => <div />
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// let cdf: Types.MixedDistribution.t =
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// CdfLibrary.Distribution.fromString(r, 2000);
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// <>
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// <Chart
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// height=100
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// data={
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// cdf
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// |> CdfLibrary.Distribution.toPdf
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// |> Types.ContinuousDistribution.toJs
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// }
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// />
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// {r |> ReasonReact.string}
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// </>;
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| Probability(r) =>
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(r *. 100. |> Js.Float.toFixed) ++ "%" |> ReasonReact.string
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| DateTime(r) => r |> MomentRe.Moment.defaultFormat |> ReasonReact.string
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59
src/lib/TimeTypes.re
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59
src/lib/TimeTypes.re
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@ -0,0 +1,59 @@
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type timeUnit = [
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| `days
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| `hours
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| `milliseconds
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| `minutes
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| `months
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| `quarters
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| `seconds
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| `weeks
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| `years
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];
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type timeVector = {
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zero: MomentRe.Moment.t,
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unit: timeUnit,
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};
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type timePoint = {
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timeVector,
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value: float,
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};
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module TimePoint = {
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let fromTimeVector = (timeVector, value): timePoint => {timeVector, value};
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let toMoment = (timePoint: timePoint) => {
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timePoint.timeVector.zero
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|> MomentRe.Moment.add(
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~duration=
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MomentRe.duration(timePoint.value, timePoint.timeVector.unit),
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);
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};
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let fromMoment = (timeVector: timeVector, moment: MomentRe.Moment.t) =>
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MomentRe.diff(timeVector.zero, moment, timeVector.unit);
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};
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module RelativeTimePoint = {
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type timeInVector =
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| Time(MomentRe.Moment.t)
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| XValue(float);
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let toTime = (timeVector: timeVector, timeInVector: timeInVector) =>
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switch (timeInVector) {
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| Time(r) => r
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| XValue(r) =>
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timeVector.zero
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|> MomentRe.Moment.add(~duration=MomentRe.duration(r, timeVector.unit))
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};
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let _timeToX = (time, timeStart, timeUnit) =>
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MomentRe.diff(timeStart, time, timeUnit);
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let toXValue = (timeVector: timeVector, timeInVector: timeInVector) =>
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switch (timeInVector) {
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| Time(r) => _timeToX(r, timeVector.zero, timeVector.unit)
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| XValue(r) => r
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};
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};
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@ -59,7 +59,7 @@ module DiscreteDistribution = {
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};
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module MixedDistribution = {
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type distribution = {
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type t = {
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discrete: DiscreteDistribution.t,
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continuous: ContinuousDistribution.t,
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};
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@ -39,8 +39,35 @@ module JS = {
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external scoreNonMarketCdfCdf: (int, distJs, distJs, float) => distJs =
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"scoreNonMarketCdfCdf";
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[@bs.module "./GuesstimatorLibrary.js"]
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external toGuesstimator: (string, int) => distJs = "run";
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module Guesstimator = {
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[@bs.deriving abstract]
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type discrete = {
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xs: array(float),
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ys: array(float),
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};
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let jsToDistDiscrete = (d: discrete): Types.DiscreteDistribution.t => {
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xs: xsGet(d),
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ys: ysGet(d),
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};
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[@bs.deriving abstract]
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type combined = {
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continuous: distJs,
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discrete,
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};
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let toContinous = (r: combined) => continuousGet(r) |> jsToDist;
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let toDiscrete = (r: combined): Types.DiscreteDistribution.t =>
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discreteGet(r) |> jsToDistDiscrete;
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let toMixed = (r: combined): Types.MixedDistribution.t => {
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discrete: toDiscrete(r),
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continuous: toContinous(r),
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};
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[@bs.module "./GuesstimatorLibrary.js"]
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external toGuesstimator: (string, int) => combined = "run";
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};
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};
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module Distribution = {
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@ -49,7 +76,8 @@ module Distribution = {
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let findX = (y, dist) => dist |> JS.distToJs |> JS.findX(y);
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let findY = (x, dist) => dist |> JS.distToJs |> JS.findY(x);
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let fromString = (str: string, sampleCount: int) =>
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JS.toGuesstimator(str, sampleCount) |> JS.jsToDist;
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JS.Guesstimator.toGuesstimator(str, sampleCount)
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|> JS.Guesstimator.toMixed;
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let integral = dist => dist |> JS.distToJs |> JS.integral;
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let differentialEntropy = (maxCalculationLength, dist) =>
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dist
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@ -33,14 +33,19 @@ const ratioSize = samples => {
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return minMaxRatio(minValue, maxValue);
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};
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const toPdf = (values, sampleCount, min, max) => {
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const samples = new Samples(values);
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let duplicateSamples = _(values).groupBy().pickBy(x => x.length > 1).keys().value();
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let totalLength = _.size(values);
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let frequencies = duplicateSamples.map(s => ({value: parseFloat(s), percentage: totalLength/_(values).filter(x => x ==s).size()}));
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let continuousSamples = _.difference(values, frequencies.map(f => f.value));
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const samples = new Samples(continuousSamples);
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const ratioSize$ = ratioSize(samples);
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const width = ratioSize$ === 'SMALL' ? 20 : 1;
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const cdf = samples.toCdf({ size: sampleCount, width, min, max });
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return {ys:cdf.ys, xs:cdf.xs};
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return {continuous:{ys:cdf.ys, xs:cdf.xs}, discrete: {xs: frequencies.map(f => f.value), ys: frequencies.map(f => f.percentage)}};
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};
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let run = (text, sampleCount, inputs=[], min=false, max=false) => {
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